The Term Structure of Implicit Discount Rates in Security Valuation
利用剩余收益模型重构，从英国证券价格中估计隐含贴现率，发现贴现率无特定模式，既无短期盈利短视也无长期过度乐观，且若存在短视则集中于大市值和低市盈率公司。
Abstract: A reformulation of the residual income model is used to generate estimates of discount rates implicit in UK security prices. The terminal value of the infinite valuation model is incorporated into the coefficient on current earnings. By varying the length of the forecast horizon, different combinations of implicit discount rates are revealed that allow the estimation of time‐variant costs of equity. Results indicate no specific pattern of discount rates, thus revealing neither myopia on short‐term earnings nor excessive optimism on long(er)‐term earnings. Surprisingly, there is weak evidence that if any myopia exists, it is concentrated in larger and lower price‐earnings firms.